Otranto, Edoardo; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2001
The literature on Markov switching models is increasing and producing interesting results both at theoretical and applied levels. Most often the number of regimes, i.e., of data generating processes, is considered known; this strong hypothesis is adopted to somewhat bypass the nuisance parameter...